Stability of Stochastic Differential Equations Under Discretization

被引：3

作者：

Korzeniowski, Andrzej ^{[1
]}

机构：

[1] Univ Texas Arlington, Dept Math, Arlington, TX 76019 USA

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2008年 / 26卷 / 06期

关键词：

EMS-stability; Positive contraction; SDE discretization;

D O I：

10.1080/07362990802405828

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Long time behavior of stochastic differential equations (SDE) involves two instances of exponential mean square stability (EMS-stability). First deals with stability of the original continuous time system while the second is concerned with stability after the time step discretization. By considering a linear operator S associated with SDE, we show that the discrete system is EMS-stable if and only if S is a positive contraction on the set of symmetric positive definite matrices.

引用

页码：1267 / 1273

页数：7